Search Results for author: Sascha Desmettre

Found 7 papers, 0 papers with code

Pricing of geometric Asian options in the Volterra-Heston model

no code implementations24 Feb 2024 Florian Aichinger, Sascha Desmettre

Geometric Asian options are a type of options where the payoff depends on the geometric mean of the underlying asset over a certain period of time.

Worst-Case Optimal Investment in Incomplete Markets

no code implementations16 Nov 2023 Sascha Desmettre, Sebastian Merkel, Annalena Mickel, Alexander Steinicke

We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market crash with stochastic market coefficients by enhancing the martingale approach developed by Seifried in 2010.

A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market

no code implementations13 Jun 2023 Christian Laudagé, Florian Aichinger, Sascha Desmettre

To evaluate the model adequacy, we provide simulations of the spot price as well as a posterior predictive check for the 3- and the 4-factor model.

Supervised machine learning classification for short straddles on the S&P500

no code implementations26 Apr 2022 Alexander Brunhuemer, Lukas Larcher, Philipp Seidl, Sascha Desmettre, Johannes Kofler, Gerhard Larcher

In this working paper we present our current progress in the training of machine learning models to execute short option strategies on the S&P500.

BIG-bench Machine Learning

Change of drift in one-dimensional diffusions

no code implementations25 Oct 2019 Sascha Desmettre, Gunther Leobacher, L. C. G. Rogers

It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same volatility but a different drift.

Change of Measure in the Heston Model given a violated Feller Condition

no code implementations28 Sep 2018 Sascha Desmettre

When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption that the Feller condition is satisfied.

Portfolio Optimization in Fractional and Rough Heston Models

no code implementations27 Sep 2018 Nicole Bäuerle, Sascha Desmettre

We consider a fractional version of the Heston volatility model which is inspired by [16].

Portfolio Optimization

Cannot find the paper you are looking for? You can Submit a new open access paper.